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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Dynamics of trade-by-trade price movements: decomposition and models
Dynamics of trade-by-trade price movements: decomposition and models
Publication information:
Rydberg, Trina, and Neil Shephard. 2003. “Dynamics of Trade-by-Trade Price Movements: Decomposition and Models”.
Journal of Financial Econometrics
1: 2-25.
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